Analyzing Dependent Data with Vine Copulas: A Practical Guide with R

By Claudia Czado

Preface.- Multivariate Distributions and Copulas.- Dependence Measures.- Bivariate Copula Classes, Their Visualization and Estimation.- Pair Copula Decompositions and Constructions.- Regular Vines.- Simulating Regular Vine Copulas and Distributions.- Parameter Estimation in Regular Vine Copulas.- Selection of Regular Vine Copula Models.- Comparing Regular Vine Copula Models.- Case Study: Dependence Among German DAX Stocks.- Recent Developments in Vine Copula Based Modeling.- Indices.

• Format: Paperback
• Language: English
• ISBN: 3030137848
• ISBN13: 9783030137847
• Release Date: May 2019
• Publisher: Springer
• Length: 242 Pages
• Weight: 0.85 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"